Any problem bringing a router from the States to do this or am I better advised to buy one in Thailand? The instructions are written in English if I buy it in the states

Depends on what you mean.

AFAIK, most of the Thai ISP's these days are going to provide you with a combo router-modem unit. And, whether it's cable or fiber or DSL internet, you're going to likely need to use their device as a starting point to access their service.

AFAIK, most of those units aren't usually set up or compatible to run router-based VPN services, so usually that means if you want to run router based VPN, you're going to have to add-on your own router that is capable of that

There are preconfigured VPN routers that different VPN providers sell. Or, you can get a retail router pre-loaded with generic VPN firmware, or you can buy a regular retail router and flash it yourself with VPN firmware.

The preconfigured VPN routers sold by VPN providers are likely something to be sourced from outside Thailand, since that's where most of the VPN providers are. But inside Thailand, I believe, you can buy both retail routers with generic VPN firmware, ASUS makes a lot of those, and regular routers capable of being flashed, although for those, you have to make sure they have sufficient memory space to support VPN.

There's no reason a router from the U.S. wouldn't work here, and you shouldn't have any problem bringing one along in luggage. But for the major brands sold in Thailand like ASUS and Linksys, among others, there usually are English language manuals to be had somewhere, since the models sold here are pretty much the same as those sold by the same manufacturers elsewhere.

Does anyone have an opinion on a DNS versus a VPN for use with a Roku in Thailand?

I think both could work, but the DNS option becomes problematic if you're using True Online as your ISP. Because, they do something with invisible proxies that renders a lot of the DNS redirect services unusable.

But if you're getting your Internet thru one of the other providers, supposedly, the DNS redirect services set up in your wifi router ought to work fine for Roku.